An investigation of finite sample behavior of confidence interval estimation procedures in computer simulation
By: Robert G. Sargent, Keebom Kang, David Goldsman
Contributors: Kang, Keebom; Goldsman, David; Naval Postgraduate School (U.S.). Dept. of Administrative Sciences
Publisher: Naval Postgraduate School; Available from National Technical Information Service
Published: 1991
Place of publication: Monterey, Calif; Springfield, Va
Language: eng
Number of pages: 24
Subjects: Time series analysis; Confidence limits; Estimates; Statistical analysis
Other titles: NPS-AS-91-009.
Description: Investigated are the small sample behavior and convergence properties of confidence interval      estimators (CIE's) for the mean of a stationary discrete process. We consider CIE's arising      from nonoverlapping batch means, overlapping batch means, and standardized time series, all      of which are commonly used in discrete-event simulation. For a specific CIE, the performance      measures of interest include the coverage probability, and the expected value and variance of      the half-length. We use both empirical and analytical methods to make detailed comparisons      regarding the behavior of the CIE's for a variety of stochastic processes. All of the CIE's      under study are asymptotically valid; however, they are usually invalid for small sample sizes.      We find that for small samples, the bias of the variance parameter estimator figures      significantly in CIE coverage performance-the less bias the better. A Secondary role is played      by the Marginal distribution of the stationary process. Not all CIE's are equal - some require      fewer observations before manifesting the properties for CIE validity.
Notes: Cover title.

"NPS-AS-91-009."

"April 1991."

AD A238 744.

Includes bibliographical references (p. 17-19).

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